New Forms of Passive Equity Investing Seminar - Overview
18 May, 2011 — San Francisco / 15 June, 2011 — Copenhagen / 16 June, 2011 — Stockholm
A seminar drawing on the expertise developed at EDHEC-Risk Institute to equip participants with both the technical and conceptual tools enabling them to better understand the limits and benefits of traditional and alternative equity benchmarks.
Asset management is the art and science of designing investment solutions that match investors’ needs. For more than fifty years, the industry has focused on delivering alpha through security selection as the main source of added value, based on the assumption that market cap weighted indices were efficient
portfolios. This single-minded focus, which has not fared well in recent market turbulence, has, to some extent, kept the industry from looking into a more significant source of added value: beta and risk management.
In the wake of these recent crises, and given the intrinsic difficulty of generating alpha, the question of the value added by both active and passive managers has been raised with heightened intensity. Academic and industry research has offered convincing empirical evidence that market-cap-weighted indices post poor risk-adjusted performance, whereas other studies have questioned the validity of utilizing market cap as a proxy for company size and economic influence. The combination of these empirical and theoretical developments has significantly weakened the case for market-cap-weighted indices, and slowly but surely consensus on the inadequacy of market cap-weighted-indices as investment vehicles is emerging.
This fierce attack on cap-weighted indices, which are neither representative nor efficient, has, however, left investors with a void. Although there have been proposals for alternative weighting schemes, the emergence of which blurs the traditional divide between active and passive equity portfolio management, it is not yet clear which alternatives investors should prefer.
Drawing on the expertise developed at EDHEC-Risk Institute, this course equips participants with both the technical and conceptual tools that will allow them to better understand the limits and benefits of traditional and alternative equity benchmarks.
The seminar is presented in a highly accessible manner by instructors who combine academic expertise and industry experience.
The programme is exclusively reserved for institutional investors (pension schemes, charities, endowments, foundations, insurance companies, family offices).
Seminar Instructors:
Copenhagen, Stockholm:
- Noël Amenc, PhD, Professor of Finance and Director of Development at EDHEC Business School, where he heads EDHEC-Risk Institute.
- Felix Goltz, PhD, Head of Applied Research at EDHEC-Risk Institute and Director of Research and Development at EDHEC-Risk Indices & Benchmarks.
- Lionel Martellini, PhD, Professor of Finance at EDHEC Business School, Scientific Director of EDHEC-Risk Institute, and Scientific Advisor to EDHEC-Risk Indices & Benchmarks.
Key Learning Benefits:
The seminar will enable participants to:
- Review the limitations of traditional indices.
- Understand the benefits and limits of alternative equity benchmarks.
- Find out about minimum-variance, equally-weighted, risk-parity, diversity-weighted and characteristics based benchmarks.
- Learn how to use idiosyncratic risk and downside risk to design improved equity indices.
- Explore how to take account of liquidity, transaction costs and tracking-error constraints in the portfolio design process.
New Forms of Passive Equity Investing Seminar:
Attachments
